Francis A. Longstaff

Names

Identifer

Contact

Affiliations

• University of California-Los Angeles (UCLA) / Anderson Graduate School of Management / Finance Group
  • EDIRC entry
  • location:

Research profile

author of:

• Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets
  American Economic Review, American Economic Association (2009)
  by Francis A. Longstaff
  (ReDIF-article, aea:aecrev:v:99:y:2009:i:4:p:1119-44)
• How Sovereign Is Sovereign Credit Risk?
  American Economic Journal: Macroeconomics, American Economic Association (2011)
  by Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton
  (ReDIF-article, aea:aejmac:v:3:y:2011:i:2:p:75-103)
• Pricing Options with Extendible Maturities: Analysis and Applications
  Journal of Finance, American Finance Association (1990)
  by Longstaff, Francis A
  (ReDIF-article, bla:jfinan:v:45:y:1990:i:3:p:935-57)
• Time Varying Term Premia and Traditional Hypotheses about the Term Structure
  Journal of Finance, American Finance Association (1990)
  by Longstaff, Francis A
  (ReDIF-article, bla:jfinan:v:45:y:1990:i:4:p:1307-14)
• Dual Trading in Futures Markets
  Journal of Finance, American Finance Association (1992)
  by Fishman, Michael J & Longstaff, Francis A
  (ReDIF-article, bla:jfinan:v:47:y:1992:i:2:p:643-71)
• Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model
  Journal of Finance, American Finance Association (1992)
  by Longstaff, Francis A & Schwartz, Eduardo S
  (ReDIF-article, bla:jfinan:v:47:y:1992:i:4:p:1259-82)
• A Simple Approach to Valuing Risky Fixed and Floating Rate Debt
  Journal of Finance, American Finance Association (1995)
  by Longstaff, Francis A & Schwartz, Eduardo S
  (ReDIF-article, bla:jfinan:v:50:y:1995:i:3:p:789-819)
• How Much Can Marketability Affect Security Values?
  Journal of Finance, American Finance Association (1995)
  by Longstaff, Francis A
  (ReDIF-article, bla:jfinan:v:50:y:1995:i:5:p:1767-74)
• Arbitrage and the Expectations Hypothesis
  Journal of Finance, American Finance Association (2000)
  by Francis A. Longstaff
  (ReDIF-article, bla:jfinan:v:55:y:2000:i:2:p:989-994)
• Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program
  Journal of Finance, American Finance Association (2000)
  by Mark Grinblatt & Francis A. Longstaff
  (ReDIF-article, bla:jfinan:v:55:y:2000:i:3:p:1415-1436)
• The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence
  Journal of Finance, American Finance Association (2001)
  by Francis A. Longstaff & Pedro Santa‐Clara & Eduardo S. Schwartz
  (ReDIF-article, bla:jfinan:v:56:y:2001:i:6:p:2067-2109)
• Dynamic Asset Allocation with Event Risk
  Journal of Finance, American Finance Association (2003)
  by Jun Liu & Francis A. Longstaff & Jun Pan
  (ReDIF-article, bla:jfinan:v:58:y:2003:i:1:p:231-259)
• Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market
  Journal of Finance, American Finance Association (2005)
  by Francis A. Longstaff & Sanjay Mithal & Eric Neis
  (ReDIF-article, bla:jfinan:v:60:y:2005:i:5:p:2213-2253)
• The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds
  Journal of Finance, American Finance Association (2007)
  by Bing Han & Francis A. Longstaff & Craig Merrill
  (ReDIF-article, bla:jfinan:v:62:y:2007:i:6:p:2673-2693)
• An Empirical Analysis of the Pricing of Collateralized Debt Obligations
  Journal of Finance, American Finance Association (2008)
  by Francis A. Longstaff & Arvind Rajan
  (ReDIF-article, bla:jfinan:v:63:y:2008:i:2:p:529-563)
• Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate
  Real Estate Economics, American Real Estate and Urban Economics Association (1996)
  by Bradford Cornell & Francis A. Longstaff & Eduardo S. Schwartz
  (ReDIF-article, bla:reesec:v:24:y:1996:i:1:p:23-41)
• General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence
  Journal of Financial and Quantitative Analysis, Cambridge University Press (1991)
  by Hemler, Michael L. & Longstaff, Francis A.
  (ReDIF-article, cup:jfinqa:v:26:y:1991:i:03:p:287-308_00)
• Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market
  Journal of Financial and Quantitative Analysis, Cambridge University Press (1993)
  by George, Thomas J. & Longstaff, Francis A.
  (ReDIF-article, cup:jfinqa:v:28:y:1993:i:03:p:381-397_00)
• The Cherry-Picking Option in the U.S. Treasury Buyback Auctions
  Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics (2005)
  by Han, Bing & Longstaff, Francis A. & Merrill, Craig
  (ReDIF-paper, ecl:ohidic:2004-23)
• The valuation of options on coupon bonds
  Journal of Banking & Finance, Elsevier (1993)
  by Longstaff, Francis A.
  (ReDIF-article, eee:jbfina:v:17:y:1993:i:1:p:27-42)
• Valuing futures and options on volatility
  Journal of Banking & Finance, Elsevier (1996)
  by Grunbichler, Andreas & Longstaff, Francis A.
  (ReDIF-article, eee:jbfina:v:20:y:1996:i:6:p:985-1001)
• A nonlinear general equilibrium model of the term structure of interest rates
  Journal of Financial Economics, Elsevier (1989)
  by Longstaff, Francis A.
  (ReDIF-article, eee:jfinec:v:23:y:1989:i:2:p:195-224)
• The valuation of options on yields
  Journal of Financial Economics, Elsevier (1990)
  by Longstaff, Francis A.
  (ReDIF-article, eee:jfinec:v:26:y:1990:i:1:p:97-121)
• Multiple equilibria and term structure models
  Journal of Financial Economics, Elsevier (1992)
  by Longstaff, Francis A.
  (ReDIF-article, eee:jfinec:v:32:y:1992:i:3:p:333-344)
• The term structure of very short-term rates: New evidence for the expectations hypothesis
  Journal of Financial Economics, Elsevier (2000)
  by Longstaff, Francis A.
  (ReDIF-article, eee:jfinec:v:58:y:2000:i:3:p:397-415)
• Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market
  Journal of Financial Economics, Elsevier (2001)
  by Longstaff, Francis A. & Santa-Clara, Pedro & Schwartz, Eduardo S.
  (ReDIF-article, eee:jfinec:v:62:y:2001:i:1:p:39-66)
• Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it?
  Journal of Financial Economics, Elsevier (2003)
  by Kahl, Matthias & Liu, Jun & Longstaff, Francis A.
  (ReDIF-article, eee:jfinec:v:67:y:2003:i:3:p:385-410)
• Corporate earnings and the equity premium
  Journal of Financial Economics, Elsevier (2004)
  by Longstaff, Francis A. & Piazzesi, Monika
  (ReDIF-article, eee:jfinec:v:74:y:2004:i:3:p:401-421)
• The subprime credit crisis and contagion in financial markets
  Journal of Financial Economics, Elsevier (2010)
  by Longstaff, Francis A.
  (ReDIF-article, eee:jfinec:v:97:y:2010:i:3:p:436-450)
• Electronic Screen Trading and the Transmission of Information: An Empirical Examination
  Journal of Financial Intermediation, Elsevier (1994)
  by Grunbichler Andreas & Longstaff Francis A. & Schwartz Eduardo S.
  (ReDIF-article, eee:jfinin:v:3:y:1994:i:2:p:166-187)
• Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effect
  Financial Management, Financial Management Association (1994)
  by Francis A. Longstaff & Bruce A. Tuckman
  (ReDIF-article, fma:fmanag:longstaff94)
• Corporate Earnings and the Equity Premium
  NBER Working Papers, National Bureau of Economic Research, Inc (2003)
  by Francis Longstaff & Monika Piazzesi
  (ReDIF-paper, nbr:nberwo:10054)
• Two Trees: Asset Price Dynamics Induced by Market Clearing
  NBER Working Papers, National Bureau of Economic Research, Inc (2003)
  by John H. Cochrane & Francis A. Longstaff & Pedro Santa-Clara
  (ReDIF-paper, nbr:nberwo:10116)
• Financial Claustrophobia: Asset Pricing in Illiquid Markets
  NBER Working Papers, National Bureau of Economic Research, Inc (2004)
  by Francis A. Longstaff
  (ReDIF-paper, nbr:nberwo:10411)
• Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
  NBER Working Papers, National Bureau of Economic Research, Inc (2004)
  by Francis A. Longstaff & Sanjay Mithal & Eric Neis
  (ReDIF-paper, nbr:nberwo:10418)
• Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities
  NBER Working Papers, National Bureau of Economic Research, Inc (2004)
  by Francis A. Longstaff
  (ReDIF-paper, nbr:nberwo:10422)
• An Empirical Analysis of the Pricing of Collateralized Debt Obligations
  NBER Working Papers, National Bureau of Economic Research, Inc (2006)
  by Francis A. Longstaff & Arvind Rajan
  (ReDIF-paper, nbr:nberwo:12210)
• How Sovereign is Sovereign Credit Risk?
  NBER Working Papers, National Bureau of Economic Research, Inc (2007)
  by Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton
  (ReDIF-paper, nbr:nberwo:13658)
• Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices?
  NBER Working Papers, National Bureau of Economic Research, Inc (2009)
  by Francis A. Longstaff
  (ReDIF-paper, nbr:nberwo:14687)
• Valuing Toxic Assets: An Analysis of CDO Equity
  NBER Working Papers, National Bureau of Economic Research, Inc (2009)
  by Francis A. Longstaff & Brett Myers
  (ReDIF-paper, nbr:nberwo:14871)
• Corporate Bond Default Risk: A 150-Year Perspective
  NBER Working Papers, National Bureau of Economic Research, Inc (2010)
  by Kay Giesecke & Francis A. Longstaff & Stephen Schaefer & Ilya Strebulaev
  (ReDIF-paper, nbr:nberwo:15848)
• Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle
  NBER Working Papers, National Bureau of Economic Research, Inc (2010)
  by Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig
  (ReDIF-paper, nbr:nberwo:16358)
• Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe
  NBER Working Papers, National Bureau of Economic Research, Inc (2011)
  by Andrew Ang & Francis A. Longstaff
  (ReDIF-paper, nbr:nberwo:16982)
• Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective
  NBER Working Papers, National Bureau of Economic Research, Inc (2012)
  by Kay Giesecke & Francis A. Longstaff & Stephen Schaefer & Ilya Strebulaev
  (ReDIF-paper, nbr:nberwo:17854)
• Inflation Tracking Portfolios
  NBER Working Papers, National Bureau of Economic Research, Inc (2012)
  by Christopher T. Downing & Francis A. Longstaff & Michael A. Rierson
  (ReDIF-paper, nbr:nberwo:18135)
• Disagreement and Asset Prices
  NBER Working Papers, National Bureau of Economic Research, Inc (2012)
  by Bruce I. Carlin & Francis A. Longstaff & Kyle Matoba
  (ReDIF-paper, nbr:nberwo:18619)
• Deflation Risk
  NBER Working Papers, National Bureau of Economic Research, Inc (2013)
  by Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig
  (ReDIF-paper, nbr:nberwo:19238)
• Corporate Taxes and Capital Structure: A Long-Term Historical Perspective
  NBER Working Papers, National Bureau of Economic Research, Inc (2014)
  by Francis A. Longstaff & Ilya A. Strebulaev
  (ReDIF-paper, nbr:nberwo:20372)
• Valuing Thinly-Traded Assets
  NBER Working Papers, National Bureau of Economic Research, Inc (2014)
  by Francis Longstaff
  (ReDIF-paper, nbr:nberwo:20589)
• The U.S. Debt Restructuring of 1933: Consequences and Lessons
  NBER Working Papers, National Bureau of Economic Research, Inc (2015)
  by Sebastian Edwards & Francis A. Longstaff & Alvaro Garcia Marin
  (ReDIF-paper, nbr:nberwo:21694)
• Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
  NBER Working Papers, National Bureau of Economic Research, Inc (2016)
  by Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff
  (ReDIF-paper, nbr:nberwo:22096)
• Asset Mispricing
  NBER Working Papers, National Bureau of Economic Research, Inc (2017)
  by Kurt F. Lewis & Francis A. Longstaff & Lubomir Petrasek
  (ReDIF-paper, nbr:nberwo:23231)
• Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints
  NBER Working Papers, National Bureau of Economic Research, Inc (2018)
  by Matthias Fleckenstein & Francis A. Longstaff
  (ReDIF-paper, nbr:nberwo:24224)
• Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes
  NBER Working Papers, National Bureau of Economic Research, Inc (2018)
  by Matthias Fleckenstein & Francis A. Longstaff
  (ReDIF-paper, nbr:nberwo:25216)
• The Market Risk Premium for Unsecured Consumer Credit Risk
  NBER Working Papers, National Bureau of Economic Research, Inc (2020)
  by Matthias Fleckenstein & Francis A. Longstaff
  (ReDIF-paper, nbr:nberwo:28029)
• Private Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market
  NBER Working Papers, National Bureau of Economic Research, Inc (2020)
  by Matthias Fleckenstein & Francis A. Longstaff
  (ReDIF-paper, nbr:nberwo:28134)
• Treasury Richness
  NBER Working Papers, National Bureau of Economic Research, Inc (2021)
  by Matthias Fleckenstein & Francis A. Longstaff
  (ReDIF-paper, nbr:nberwo:29081)
• Do Municipal Bond Investors Pay a Convenience Premium to Avoid Taxes?
  NBER Working Papers, National Bureau of Economic Research, Inc (2023)
  by Matthias Fleckenstein & Francis A. Longstaff
  (ReDIF-paper, nbr:nberwo:31389)
• Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it?
  NBER Working Papers, National Bureau of Economic Research, Inc (2002)
  by Matthias Kahl & Jun Liu & Francis A. Longstaff
  (ReDIF-paper, nbr:nberwo:8969)
• The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads
  NBER Working Papers, National Bureau of Economic Research, Inc (2002)
  by Jun Liu & Francis A. Longstaff & Ravit E. Mandell
  (ReDIF-paper, nbr:nberwo:8990)
• Dynamic Asset Allocation With Event Risk
  NBER Working Papers, National Bureau of Economic Research, Inc (2002)
  by Jun Liu & Francis A. Longstaff & Jun Pan
  (ReDIF-paper, nbr:nberwo:9103)
• The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices
  NBER Working Papers, National Bureau of Economic Research, Inc (2002)
  by Francis A. Longstaff
  (ReDIF-paper, nbr:nberwo:9312)
• Valuing American Options by Simulation: A Simple Least-Squares Approach
  Review of Financial Studies, Society for Financial Studies (2001)
  by Longstaff, Francis A & Schwartz, Eduardo S
  (ReDIF-article, oup:rfinst:v:14:y:2001:i:1:p:113-47)
• Optimal Portfolio Choice and the Valuation of Illiquid Securities
  Review of Financial Studies, Society for Financial Studies (2001)
  by Longstaff, Francis A
  (ReDIF-article, oup:rfinst:v:14:y:2001:i:2:p:407-31)
• Two Trees
  Review of Financial Studies, Society for Financial Studies (2008)
  by John H. Cochrane & Francis A. Longstaff & Pedro Santa-Clara
  (ReDIF-article, oup:rfinst:v:21:y:2008:i:1:p:347-385)
• Option Pricing and the Martingale Restriction
  Review of Financial Studies, Society for Financial Studies (1995)
  by Longstaff, Francis A
  (ReDIF-article, oup:rfinst:v:8:y:1995:i:4:p:1091-1124)
• Two Trees: Asset Price Dynamics Induced by Market Clearing
  2004 Meeting Papers, Society for Economic Dynamics (2004)
  by John H. Cochrane & Francis Longstaff
  (ReDIF-paper, red:sed004:126)
• Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle
  The Journal of Business, University of Chicago Press (1992)
  by Longstaff, Francis A
  (ReDIF-article, ucp:jnlbus:v:65:y:1992:i:4:p:571-92)
• The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices
  The Journal of Business, University of Chicago Press (2004)
  by Francis A. Longstaff
  (ReDIF-article, ucp:jnlbus:v:77:y:2004:i:3:p:511-526)
• The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks
  The Journal of Business, University of Chicago Press (2006)
  by Jun Liu & Francis A. Longstaff & Ravit E. Mandell
  (ReDIF-article, ucp:jnlbus:v:79:y:2006:i:5:p:2337-2360)